Portfolio Performance Report - 50d Window
6 Jan, 1999 - 23 Feb, 2024

Generated by QuantStats (v. 0.0.77)

Key Performance Metrics

Metric	EQW	^DJI	SPY	MV (50d)	BL (50d)
Risk-Free Rate	0.0%	0.0%	0.0%	0.0%	0.0%
Time in Market	100.0%	100.0%	100.0%	90.0%	100.0%

Cumulative Return	348.15%	320.26%	539.04%	857.79%	461.38%
CAGR﹪	6.16%	5.89%	7.67%	9.42%	7.12%

Sharpe	0.39	0.4	0.48	0.59	0.45
Prob. Sharpe Ratio	97.48%	97.76%	99.14%	99.83%	98.68%
Smart Sharpe	0.37	0.38	0.45	0.55	0.42
Sortino	0.55	0.57	0.67	0.83	0.62
Smart Sortino	0.51	0.53	0.63	0.78	0.58
Sortino/√2	0.39	0.4	0.48	0.59	0.44
Smart Sortino/√2	0.36	0.38	0.45	0.55	0.41
Omega	1.08	1.08	1.09	1.12	1.09

Max Drawdown	-62.16%	-53.78%	-55.19%	-54.0%	-60.7%
Max DD Date	2009-03-09	2009-03-09	2009-03-09	2009-03-09	2009-03-09
Max DD Period Start	2007-11-01	2007-10-10	2007-10-10	2007-10-30	2007-11-01
Max DD Period End	2013-10-17	2013-03-04	2012-08-15	2010-03-26	2013-09-10
Longest DD Days	2178	2450	2404	1384	2141
Volatility (ann.)	20.73%	18.55%	19.53%	18.07%	19.87%
Calmar	0.1	0.11	0.14	0.17	0.12
Skew	-0.29	-0.11	-0.01	-0.16	-0.31
Kurtosis	11.27	12.25	11.16	6.8	11.78

Expected Daily	0.02%	0.02%	0.03%	0.04%	0.03%
Expected Monthly	0.5%	0.48%	0.62%	0.75%	0.57%
Expected Yearly	5.94%	5.68%	7.39%	9.08%	6.86%
Kelly Criterion	-	-	-	-	-
Risk of Ruin	-	-	-	-	-
Daily Value-at-Risk	-2.12%	-1.89%	-1.99%	-1.83%	-2.02%
Expected Shortfall (cVaR)	-3.34%	-3.34%	-3.34%	-3.34%	-3.34%

Max Consecutive Wins	-	-	-	-	-
Max Consecutive Losses	-	-	-	-	-
Gain/Pain Ratio	-	-	-	-	-
Gain/Pain (1M)	-	-	-	-	-

Payoff Ratio	-	-	-	-	-
Profit Factor	1.08	1.08	1.09	1.12	1.09
Common Sense Ratio	-	-	-	-	-
CPC Index	-	-	-	-	-
Tail Ratio	0.94	0.96	0.92	0.99	0.95
Outlier Win Ratio	3.77	4.26	4.09	4.7	3.97
Outlier Loss Ratio	3.8	4.33	4.0	4.0	3.97

MTD	2.37%	2.57%	5.17%	4.23%	1.84%
3M	6.97%	10.94%	12.06%	9.79%	5.09%
6M	9.5%	14.12%	16.79%	6.08%	7.13%
YTD	0.09%	3.83%	6.85%	4.75%	-1.57%
1Y	8.61%	18.42%	29.36%	3.45%	6.68%
3Y (ann.)	1.78%	6.31%	10.76%	-5.1%	1.35%
5Y (ann.)	6.14%	9.1%	14.72%	4.64%	5.89%
10Y (ann.)	4.57%	9.29%	12.72%	7.24%	5.13%
All-time (ann.)	6.16%	5.89%	7.67%	9.42%	7.12%

Best Day	14.28%	11.37%	14.52%	11.97%	13.86%
Worst Day	-11.79%	-12.93%	-10.94%	-7.15%	-11.25%
Best Month	16.66%	13.95%	12.7%	22.33%	16.61%
Worst Month	-23.8%	-14.06%	-16.52%	-19.16%	-21.71%
Best Year	48.56%	26.5%	32.31%	63.46%	47.48%
Worst Year	-44.7%	-33.84%	-36.8%	-24.14%	-42.62%

Avg. Drawdown	-3.02%	-2.3%	-2.05%	-2.99%	-2.63%
Avg. Drawdown Days	54	46	32	38	50
Recovery Factor	-	-	-	-	-
Ulcer Index	0.18	0.14	0.17	0.16	0.16
Serenity Index	0.35	0.36	0.4	0.45	0.4

Avg. Up Month	4.48%	3.46%	3.7%	4.62%	4.47%
Avg. Down Month	-4.9%	-4.04%	-4.19%	-4.63%	-4.81%
Win Days	53.3%	53.12%	54.29%	53.59%	53.34%
Win Month	58.61%	60.93%	62.58%	58.39%	58.53%
Win Quarter	63.37%	65.35%	70.3%	64.65%	66.0%
Win Year	65.38%	69.23%	76.92%	73.08%	61.54%

EOY Returns

Year	EQW	^DJI	SPY	MV (50d)	BL (50d)
1999	16.93	22.39	19.28	32.53	13.36
2000	-7.54	-4.22	-7.41	4.00	-9.21
2001	-16.16	-5.12	-10.11	-19.60	-10.19
2002	-9.94	-15.11	-20.83	-12.90	-6.41
2003	40.78	23.95	26.20	50.42	40.04
2004	25.60	3.69	10.78	31.44	25.67
2005	12.62	-0.08	5.25	12.31	15.95
2006	29.23	15.58	15.21	23.26	30.20
2007	15.49	7.29	6.28	18.20	19.19
2008	-48.95	-34.13	-37.36	-26.22	-45.49
2009	41.61	20.17	26.93	45.31	43.10
2010	12.86	11.76	15.63	12.82	8.52
2011	-11.18	7.59	4.53	-11.47	-9.68
2012	21.58	7.69	15.64	4.46	23.41
2013	19.55	24.03	28.62	16.61	18.27
2014	-4.95	7.84	13.27	6.57	-1.43
2015	-0.29	-1.07	2.41	-3.23	0.30
2016	5.44	13.38	12.18	19.29	4.34
2017	24.15	22.61	19.88	20.44	27.45
2018	-12.32	-4.20	-3.23	-0.25	-12.68
2019	20.38	20.94	27.97	27.96	20.57
2020	14.37	13.82	22.47	20.20	12.47
2021	13.35	17.94	26.11	11.04	14.25
2022	-12.96	-7.24	-17.13	-22.54	-11.90
2023	14.26	13.49	24.11	1.61	13.55
2024	0.20	3.81	6.73	4.80	-1.45

Worst 10 Drawdowns

EQW

Started	Recovered	Drawdown	Days
2007-11-01	2013-10-17	-62.16	2178
2000-01-04	2004-01-02	-42.42	1460
2020-01-21	2020-11-13	-36.40	298
2021-11-09	2024-02-23	-30.17	837
2014-07-07	2017-05-01	-24.39	1030
2018-01-29	2019-12-31	-21.06	702
2006-05-10	2006-10-13	-15.78	157
2007-07-13	2007-09-28	-13.07	78
1999-01-07	1999-04-26	-11.73	110
2004-02-18	2004-09-20	-11.43	216

^DJI

Started	Recovered	Drawdown	Days
2007-10-10	2013-03-04	-53.78	1973
2000-01-18	2006-10-02	-37.85	2450
2020-02-13	2020-11-13	-37.09	275
2022-01-05	2023-12-12	-21.94	707
2018-10-04	2019-07-02	-18.77	272
2015-05-20	2016-07-11	-14.48	419
2018-01-29	2018-09-19	-11.58	234
1999-08-26	1999-12-22	-11.53	119
2007-07-20	2007-09-28	-8.25	71
2014-01-02	2014-04-29	-7.26	118

SPY

Started	Recovered	Drawdown	Days
2007-10-10	2012-08-15	-55.19	1772
2000-03-27	2006-10-25	-47.52	2404
2020-02-20	2020-08-07	-33.72	170
2022-01-04	2023-12-12	-24.50	708
2018-09-21	2019-04-11	-19.35	203
2015-07-21	2016-04-15	-13.02	270
1999-07-19	1999-11-16	-11.70	121
2018-01-29	2018-08-03	-10.10	187
2020-09-03	2020-11-10	-9.44	69
2000-01-20	2000-03-16	-9.30	57

MV (50d)

Started	Recovered	Drawdown	Days
2007-10-30	2010-03-26	-54.00	879
2021-06-15	2024-02-23	-38.21	984
2000-03-06	2003-12-19	-37.02	1384
2011-05-03	2013-10-17	-32.92	899
2015-06-04	2016-07-07	-18.11	400
2004-04-13	2004-09-15	-16.98	156
2010-04-27	2010-11-01	-16.97	189
2006-05-10	2006-10-25	-16.15	169
2007-07-20	2007-09-11	-15.45	54
2014-05-05	2015-04-20	-14.94	351

BL (50d)

Started	Recovered	Drawdown	Days
2007-11-01	2013-09-10	-60.70	2141
2000-01-10	2003-12-08	-36.48	1429
2018-01-29	2020-11-23	-36.42	1030
2021-11-09	2024-02-23	-29.13	837
2015-05-18	2017-03-24	-21.59	677
2006-05-11	2006-10-11	-15.44	154
2014-07-07	2015-05-13	-14.15	311
2004-02-18	2004-09-30	-13.68	226
2007-07-13	2007-09-25	-12.07	75
1999-05-05	1999-12-16	-9.52	226